You may model it using Extra Objects and F2 add ons.
Start with enabling the Extra Objects add on. Then add a Spiral (Add-->Curve-->Spirals). Play with its settings in the Tool Shelf (T). Remember to make the Steps number the same as your cylinder's vertices are.
Convert your curve to a mesh (in Object Mode press Alt+C-->Mesh from Curve). Duplicate the newly created mesh and place it below to define the thread's thickness.
Delete the faces of the cylinder, select the curvy mesh, extrude it with E and scale (press S, then Shift+Z to scale with the Z axis excluded). Join the meshes with Ctrl+J.
Fill the gaps with the F key.
You should end up with something like this. Think about how to make a proper topology to make the edge loops (Ctrl+R) work.